does anyone have as many problems as me finding stuff? it’s like i have to search schweser to find the section and then find the CFA book (not trivial step)
ok, found the sections. that was alot of work. schweser has it R42 forwards futures. basically, u use MDf and yield beta. just the future’s duration and the yield beta. nothing to do with cheapest to deliver… Institute is same but IN COMPLETELY OPTIONAL SECTION. then debt for equity, schweser has yield beta, institute has completely lost the yield beta. for CTD, schweser doesn’t use yield beta for basic shift. then mentions it at the end of the section. but not too clear on corporate vs. treasury or just wierd yield beta between treasury bond and CTD… basically same for institute. they do main calculation without a stated “yield beta”. but then at end of that section. they have it there for the hedge ratio. but there saying hedge anything. i guess you could apply both the CTD duration/conv factor and the yield beta.
- Using duration [(6.83-7.33)/(6.5)] *($450M/$110,425) * .9117 = -287 2. Using dollar duration DD Target - DD current/DD futures [(6.83-7.33)($450M)/((6.5*$110,425)/.9177)]= -287 Both use conversion factor but they appear different.
mwvt9 Wrote: ------------------------------------------------------- > 1. Using duration > [(6.83-7.33)/(6.5)] *($450M/$110,425) * .9117 = > -287 > > 2. Using dollar duration > DD Target - DD current/DD futures > > [(6.83-7.33)($450M)/((6.5*$110,425)/.9177)]= -287 > > > > Both use conversion factor but they appear > different. my head actually has exploded now… LOL it kills me they do the major calc and then throw in yield beta as after-thought (not related to your post above)